Using CVXGEN

Automatically generate a custom solver
CVXGEN automatically creates library-free C code for a custom, high-speed
solver. This can be downloaded and used immediately, and requires nothing but a
C compiler. CVXGEN also supplies a Matlab function that, with one command,
downloads and builds a custom Matlab mex solver.

Solve your problems up to 10,000 times faster
CVXGEN performs most transformations and optimizations offline, to make online
solution as fast as possible. Code generation takes a few seconds or minutes,
producing solvers that work in microseconds or milliseconds. Compared with
CVX, solution times are typically at least 20 times
faster, with the smallest problems showing speedup as large as
10,000×.

Limitations

CVXGEN is for convex, QP-representable problems only. It works best for small
problems, where the final system has around 2000 total coefficients in the
constraints and objective. CVXGEN does not work well for larger problems.